Given a task of predicting Y from X , a loss function L, and a set of probability distributions Γ, what is the optimal decision rule minimizing the worst-case expected loss over Γ? In this paper, we address this question by introducing a generalization of the principle of maximum entropy. Applying this principle to sets of distributions with a proposed structure, we develop a general minimax ap...

In this article we study function estimation via wavelet shrinkage for data with long-range dependence. We propose a fractional Gaussian noise model to approximate nonparametric regression with long-range dependence and establish asymp-totics for minimax risks. Because of long-range dependence, the minimax risk and the minimax linear risk converge to zero at rates that diier from those for data...

In a partial monitoring game, the learner repeatedly chooses an action, the environment responds with an outcome, and then the learner suffers a loss and receives a feedback signal, both of which are fixed functions of the action and the outcome. The goal of the learner is to minimize his regret, which is the difference between his total cumulative loss and the total loss of the best fixed acti...

This paper studies the issue of optimal deconvolution density estimation using wavelets. We explore the asymptotic properties of estimators based on thresholding of estimated wavelet coe cients. Minimax rates of convergence under the integrated square loss are studied over Besov classes B pq of functions for both ordinary smooth and supersmooth convolution kernels. The minimax rates of converge...